Hi @CuervoXok ,
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Azure Analysis Services requires access to data sources in-order to perform data refresh operations. If the data sources are cloud-based and secured with a VNet, it is necessary to provide access to Analysis Services. This can be done using the AlwaysUseGateway server property. Setting this property to true specifies Azure Analysis Services always use an On-premises data gateway for access to data sources - whether or not the data source happens to be cloud-based. It therefore requires the On-premises data gateway is set up as described in this article, and the gateway computer resides on the VNet. Data refresh operations are directed to the gateway machine, which in-turn can successfully access the data source(s).
When using this secure connection between Azure resources, we need to ensure "Allow access to Azure services" is OFF for those resources as setting this ON opens for all Azure resources communication. Please find a good article that explains this setup.
When data sources are on-premise, this setting is mandatory and if it is cloud based data source, it is optional. For automating turning it ON and OFF, please check the article recommended by Analysis Services Team.
Hope this helps! Please let us know for further queries and we will be glad to assist.